Matkowski, Janusz and Nowak, Andrzej S. (2008): On Discounted Dynamic Programming with Unbounded Returns.

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Abstract
In this paper, we apply the idea of $k$local contraction of \cite{zec, zet} to study discounted stochastic dynamic programming models with unbounded returns. Our main results concern the existence of a unique solution to the Bellman equation and are applied to the theory of stochastic optimal growth. Also a discussion of some subtle issues concerning klocal and global contractions is included.
Item Type:  MPRA Paper 

Original Title:  On Discounted Dynamic Programming with Unbounded Returns 
Language:  English 
Keywords:  Stochastic dynamic programming, Bellman functional equation, contraction mapping, stochastic optimal growth 
Subjects:  D  Microeconomics > D9  Intertemporal Choice and Growth > D90  General D  Microeconomics > D9  Intertemporal Choice and Growth > D91  Intertemporal Consumer Choice; Life Cycle Models and Saving C  Mathematical and Quantitative Methods > C6  Mathematical Methods; Programming Models; Mathematical and Simulation Modeling > C61  Optimization Techniques; Programming Models; Dynamic Analysis 
Item ID:  12215 
Depositing User:  Andrzej Nowak 
Date Deposited:  16. Dec 2008 18:34 
Last Modified:  09. Jan 2014 11:46 
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URI:  http://mpra.ub.unimuenchen.de/id/eprint/12215 